Time-frequency plot produced when the Dynamic (time-variable parameter) Auto-Regression (DAR) routine in CAPTAIN is applied to a ‘chirp’ signal. The analysis is fully automatic and based on the Kalman Filter and Fixed Interval Smoothing algorithms, with the ‘hyper para-meters’ optimized by fitting the model to the Auto-regressive spectrum using maximum likelihood based on prediction error decomposition. The  Dynamic Harmonic Regression (DHR) routine provides even greater flexibility and is a very popular tool in CAPTAIN. It can be combined with updated transfer function models to allow for the effects of changes in input variables, as shown in the climate forecasting example discussed briefly on the `Seminars & Papers ‘ page (see above)

The Computer-Aided Program for Time-series Analysis and Identification of  Noisy Systems (CAPTAIN ) Toolbox

This Website is intended primarily to support the CAPTAIN Toolbox for Matlab, which provides access to novel, mainly recursive,  algorithms for various important  aspects of identification, estimation, nonstationary time series analysis and signal processing, adaptive forecasting and automatic control system design. These have been developed between 1981 and the present at Lancaster University, UK, based on research carried out by Peter Young with colleagues at Lancaster, the Australian National University, Canberra, Australia (1975-1981) and the University of Cambridge, UK (1965-1975). In particular, Dr Wlodek Tych’s contributions, over many years, should be emphasised. He first suggested housing CAPTAIN in Matlab when he arrived in Lancaster from Poland in the mid-1980s and was very instrumental in developing it until he retired recently. 

An overview of CAPTAIN is given in PCYbook_CAPTAINapp.pdf; and a fully functional version of the CAPTAIN Toolbox can be downloaded from: https://uk.mathworks.com/matlabcentral/fileexchange/173965-captain-toolbox. The current handlers and developers of CAPTAIN are Prof. James Taylor (see above link to  James Taylor), who produced this Matlab download site, and Prof. Emeritus Peter Young (see above link to Peter & Wendy), who continues to refine and develop new tools (see e.g. News & Comment). An optional e-Handbook is available but this now needs updating for later developments.

CAPTAIN’s numerous Matlab routines (m-files) provide access to most of the algorithms that are used in the Data-Based Mechanistic (DBM) approach to the modelling, forecasting and control of systems described by stochastic, dynamic, transfer function models from sampled data: see e.g. https://wp.lancs.ac.uk/dbmmodeling/. 

The present Website also provides information that may be of help to CAPTAIN users: first, short articles on Technical Matters that discuss new and proposed developments in the Toolbox, as well as advice on the use and application of its routines; second Thoughts and Speculations, presenting my views on various topics that I was considering at the time.

Peter Young, Lancaster 14 April 2026

Website constructed from iWeb original by Peter Young using Sitely to import and update